European DataWarehouse
Agenda
Corporate governance
General update on SME ABS transactions onboarded so far
Key characteristics of the ECB ABS SME template
European DataWarehouse (ED)
ED is an innovative new company that was created with the support of the European Central Bank
(ECB), funded and governed by global market participants. ED operates as a utility to respond to the
need for full disclosure to investors in asset-backed securities (ABS)
ED is a cornerstone for the restoration of confidence in the ABS market, providing a central European
repository and data handling infrastructure
ED helps investors and other market participants to gain an in depth understanding of the underlying
assets for their required due diligence and risk assessment
ED already stores more than 600 RMBS, CMBS and SME deals equivalent to 15 million loans from
across Europe with an increasing trend; additional asset classes such as Auto and Consumer Loans
as well as Leasing will be available in H2 2013
List of shareholders as of November 2013
1. Banco Bilbao Vizcaya Argentaria S.A.
2. Banco Santander S.A.
3. BNP Paribas S.A.
4. Caixa Bank S.A.
5. Crédit Agricole S.A.
6. Crédit Foncier de France
7. DBRS Ratings Limited
8. Dutch Securitisation Association
9. Intesa Sanpaolo S.p.A.
10. Instituto de Crédito Oficial
11. Moody's Group Cyprus Limited
12. Perella Weinberg Partners Group LLP
13. Sapient Holdings Luxembourg S.à.r.l
14. Société Génerale S.A.
15. True Sale International GmbH
16. UniCredit S.p.A.
17. Unione di Banche Italiane S.c.p.A.
ED is the first ABS warehouse ever created that is owned by its market users, but has the unique feature of being
supported and endorsed by the European Central Bank and members of the Eurosystem
Organisational Structure
Pricing Committee
with ECB and NCBs
as observers
ED Management
José Manuel
González-Páramo
Chairman
Supervisory Board
with ECB and NCBs
as observers
Shareholder
Meeting
José Manuel
González-Páramo
Chairman
Supervisory Board: Consists of 8-16 members (mainly shareholder representatives plus
ECB/NCBs as observers) and is responsible for strategy and monitoring activities
Pricing Committee: Consists of 8+ members from the ABS industry and is responsible for setting
the fee structure for ED clients. The fees are set in line with a “costs-plus” approach, meaning that
profits above a certain operational margin must be redeployed to the market in the form of lower fees.
Onboarding Status as of H2 2013
Overall 606 deals were created in Edwin (approx. 95% of the ECB eligible ABS)
RMBS, CMBS , SME and Auto ABS Deals in ED by Country
Source: ED data
Spain 242
Italy 133
Netherlands
104
Portugal 39
Ireland 22
France 23
Belgium 17 UK 10 Germany 6
New SME transactions have been created in ED lately together with RMBS deals. ED has already started to
onboard Auto ABS, Consumer Finance and Lease ABS transactions in H2 2013 ahead of the ECB
implementation of loan-level reporting requirements starting on 1 January 2014.
Onboarding status as of H2 2013 for ABS SME deals
115 SME deals by country
Spain 70
Italy 28
France 5
Portugal 4
Belgium 3
Netherlands
3
Germany 2
Spain 412
Italy 286
Belgium 246
France 136
Portugal 44
Netherlands
28
Germany 17
Customer Types
Data Owners: are issuers/originators who register the deals within Edwin and receive a unique
global transaction identifier, or ED-Code. As part of registration of a deal, the data owner is also
expected to appoint a data provider for the deal
Data Providers: are servicers, trustees or other designated entities that upload performance data
files on a periodic basis against the deals for which they are nominated as providers by the data
owner. Note that in many cases Data Owners are also the Data Providers
Data Users: are usually investors, rating agencies, the European Central Bank, National Central
Banks, active market participants such as traders, researchers and other parties that access and
analyse the underlying loan performance data by searching and downloading deals from Edwin
All customers have to register and sign a customer agreement to upload and download ABS
loan-level data.
The ED Global Transaction ID number (or "ED-Code") is a unique electronic identification
scheme for ABS which is required in order for Customers to interact with Edwin. The ED-Code
identifies the entire ABS deal structure, encompassing all constituent liabilities (i.e. bonds/tranches)
and assets
ECB ABS Templates and Taxonomies
•
ECB ABS Asset classes
1. RMBS template
- last update: 17 June 2013
2. CMBS template
- last update: 17 January 2013
3. SME template
- last update: 14 December 2012
4. Consumer and Finance template
- last update: 20 September 2013
5. Leasing ABS template
- last update: 20 September 2013
6. Auto ABS template
- last update: 20 September 2013
7. Credit Card ABS template
- last update: 19 September 2013
•
ECB ABS Compiling manuals
Dedicated manuals (taxonomies) are available on the ECB website for each
template to assist market participants when they submit ABS loan-level
performance information.
ECB contact for specific eligible assets-related queries:
[email protected]
ECB ABS SME template key characteristics
Asset level details including:
Obligor information
Loan characteristics
Interest rate
Financials
Performance information
Projected amortisation profile
Callateral information
Bond level information:
Bond information
Bond information by tranche
Data format: Extensible Markup Language (XML)
Extraction of key ECB ABS SME mandatory fields
Field Number Priority TAG Field Name Field Definition & Criteria AS37 Mandatory Dynamic Bank Internal Loss Given
Default (LGD) Estimate Loss Given Default in normal economic conditions.
AS54 Mandatory Static Original Loan Balance Original total loan balance.
AS55 Mandatory Dynamic Current Balance
Amount of loan outstanding as of pool cut off date, This should include any amounts that are classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts
AS56 Mandatory Static Securitised Loan
Amount Balance of the securitised loan as of the cut-off date
AS66 Mandatory Dynamic Balloon Amount The balloon payment amount
AS80 Mandatory Dynamic Current Interest Rate Current interest rate (%)
AS81 Mandatory Dynamic Interest Cap Rate Interest rate cap (%). If no IR Cap then enter ND
AS82 Mandatory Static Interest Floor Rate Interest rate floor (%). If no IR Floor then enter ND
AS85 Mandatory Dynamic Current Interest Rate Margin
Current interest rate margin (as a percentage %, for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over or under if input as a negative) the index rate
AS115 Mandatory Dynamic Interest Arrears Amount
Current balance of interest arrears. Arrears defined as: Total interest payments due to date LESS Total interest payments received to date. This should not include any fees applied to the account. If not in arrears enter 0.
AS116 Mandatory Dynamic Number of Days in Interest Arrears
Number of days this loan is in arrears (at pool cut off date) according to the definition of the issuer. If not in arrears enter 0.
AS117 Mandatory Dynamic Principal Arrears Amount
Current balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. If not in arrears enter 0.
AS118 Mandatory Dynamic Number of Days in Principal Arrears
Number of days this loan is in arrears (at pool cut off date) according to the definition of the issuer. If not in arrears enter 0.
AS125 Mandatory Dynamic Default Amount
Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries. If not in default, enter 0.
AS128 Mandatory Dynamic Cumulative Recoveries
Total recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed. If No Data available enter ND
AS132 Mandatory Dynamic Allocated Losses The allocated losses to date. If no losses to date, enter 0.
AS150 Mandatory Dynamic Outstanding Balance
Period 1 Amortisation Profile with 0% prepayments
AS[152-388] (even
numbers) Mandatory Dynamic
Outstanding Balance
Period [2-120] Amortisation Profile with 0% prepayments
